SSRN Author: Minh NguyenMinh Nguyen SSRN Contenthttps://www.ssrn.com/author=726578
https://www.ssrn.com/rss/en-usFri, 21 Feb 2020 01:15:50 GMTeditor@ssrn.com (Editor)Fri, 21 Feb 2020 01:15:50 GMTwebmaster@ssrn.com (WebMaster)SSRN RSS Generator 1.0REVISION: Collateral Haircuts and Bond Yields in the European Government Bond MarketsAnalyzing a novel collateral haircut dataset, this paper investigates the relations between the collateral haircuts and the yields of Euro-area central government bonds. The empirical analysis shows that investors demand higher yields for bonds with higher collateral haircuts. The importance of collateral haircuts on bond yields remains robust after controlling for the variations in credit quality, market liquidity and the effects of the European sovereign debt crisis. https://www.ssrn.com/abstract=3222102
https://www.ssrn.com/1868309.htmlThu, 20 Feb 2020 09:21:00 GMTREVISION: Collateral Haircuts and Bond Yields in the European Government Bond MarketsWith the help of a rich collateral haircut dataset, this paper examines the relations between the collateral haircuts and the yields of Euro-area central government bonds. The empirical analysis shows that investors demand higher yields for bonds with higher collateral haircuts. The importance of collateral haircuts on bond yields remains robust after controlling for the variations in credit quality, market liquidity and the effects of the European sovereign debt crisis. https://www.ssrn.com/abstract=3222102
https://www.ssrn.com/1831057.htmlMon, 07 Oct 2019 12:05:22 GMTREVISION: Collateral Haircuts and Bond Yields in the European Government Bond MarketsWith the help of a rich collateral haircut dataset, this paper examines the relations between the collateral haircuts and the yields of Euro-area central government bonds. The empirical analysis shows that investors demand higher yields for bonds with higher collateral haircuts. The importance of collateral haircuts on bond yields remains robust after controlling for the variations in credit quality, market liquidity and the effects of the European sovereign debt crisis. https://www.ssrn.com/abstract=3222102
https://www.ssrn.com/1830049.htmlThu, 03 Oct 2019 09:52:40 GMTREVISION: Option Implied Liquidity and Stock ReturnsThis study examines a market-wide liquidity measure based on the systematic deviations from Put-Call parity in the U.S. equity option markets. We show that this implied liquidity measure provides forward-looking information about market returns and significantly explains the cross-sectional variations of stock returns. We show that investing in the stocks with the largest exposure to the innovations in the implied liquidity and shorting the stocks with the smallest generate significant returns of about 7.3 percent per annum. The explanatory power of implied liquidity for the cross-sectional variations of stock returns remain robust after controlling for various liquidity influences, the short-selling constraints and the effects of information asymmetry. https://www.ssrn.com/abstract=3053462
https://www.ssrn.com/1787270.htmlSat, 11 May 2019 12:20:30 GMT